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- W3124779636 abstract "We find variations in returns from momentum strategies. Unlike most studies, we form portfolios one week prior to the end of month, called ‘front-running’ momentum portfolios. As expected, due to the effects of institutional momentum trading, our ‘front-running’ portfolios generate returns of similar magnitude but lower volatility than month-end strategies. We also show that the previously documented large-firm momentum effect is sensitive to the strategy examined, and is attributable to the abnormal returns of large NASDAQ stocks. Moreover, momentum strategies did not earn significant returns during our sample period, an indication that momentum is not an unambiguously persistent anomaly." @default.
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- W3124779636 date "2012-10-01" @default.
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- W3124779636 title "The Vanishing Abnormal Returns of Momentum Strategies and‘Front-Running’ Momentum Strategies" @default.
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